2014
Order flow and volatility: An empirical investigation
Publication
Publication
Journal of Empirical Finance , Volume 28 p. 185- 201
Abstract
We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S. Treasury bond futures data, we find a statistically and economically significant relationship between the absolute value of order flow and volatility. Moreover, this relationship is robust, inter alia, to a number of factors including the introduction of liquidity effects, use of data measured over a different frequency, and market conditions.
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doi.org/10.1016/j.jempfin.2014.07.002, hdl.handle.net/1765/69194 | |
Econometric Institute Reprint Series , ERIM Top-Core Articles | |
Journal of Empirical Finance | |
Organisation | Erasmus Research Institute of Management |
Opschoor, A., Taylor, N., van der Wel, M., & van Dijk, D. (2014). Order flow and volatility: An empirical investigation. Journal of Empirical Finance, 28, 185–201. doi:10.1016/j.jempfin.2014.07.002 |